郭静_品职助教 · 2021年04月25日
嗨,努力学习的PZer你好:
B. Discretionary TAA is predicated on the existence of manager skill in predicting and timing short-term market moves away from the expected outcome for each asset class that is embedded in the SAA policy portfolio.
Using signals, systematic TAA attempts to capture asset class level return anomalies that have been shown to have some predictability and persistence
所以 statement 2 描述的是 systematic TAA,而不是discretionary TAA
C. TAA允许基金经理对SAA权重作出偏离,但不能超出IPS上下限,所以错了
----------------------------------------------加油吧,让我们一起遇见更好的自己!